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README.md

xVA

Calculates Credit Risk Valuation Adjustments

Calculates a number of valuation adjustments including CVA, DVA, FBA, FCA, MVA and KVA.

A two-way margin agreement has been implemented.

For the KVA calculation three regulatory frameworks are supported: CEM, (simplified) SA-CCR, OEM and IMM

The probability of default is implied through the credit spreads curve. Currently, only IRSwaps are supported.

If you want to become a contributor to the project or use this code for commercial purposes or for any other queries please contact us at info@openriskcalculator.com or visit our website www.openriskcalculator.com

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R Packing Calculating Credit Risk Valuation Adjustments

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